Barry Berkman is a hit man from Cleveland who's paid to kill strangers. But when a Los Angeles job for a Chechen mobster leads him to a theater class, he gets bitten by the acting bug, finding a new purpose in life — and a burning desire to escape his old one.

Bill Hader, the former Saturday Night Live star who stars as a Marine-turned-assassin in HBO's dramedy Barry (March 25, Sundays at 10:30 ET/PT), says parallel lives make for good television.

"If he gets to his goal of becoming a stage actor, he then becomes known and will probably have to be killed," Hader says of the alternately hilarious and violent series he created with Alec Berg (Silicon Valley, Curb Your Enthusiasm). So "he's putting his life at risk to pursue this dream of being able to feel again."

"Everyone’s born with the thing you’re good at," Hader says. "But what if the thing you’re good at is destroying you, and the thing you really want to be good at, you’re terrible at?"

He can relate. "The idea of doing voices and impressions, that comes easily to me. I really wanted to direct." And he did, finally, on the first three episodes of the new show.

"My heroes were filmmakers. I was reading books about Martin Scorsese. So finally being able to do that was great." The Tulsa native, 39 and divorced with three daughters, says he suffered from anxiety during most of his eight seasons on SNL. "Some of that is good, because it keeps you sharp and focused. Mine would spill over into shaking, I couldn’t project my voice, I was quiet, I would flub stuff, because I was a wreck."

Bill Hader stars as a hit man who wants to be an actor in HBO's "Barry," premiering March 25.(Photo: Robert Deutsch/USA TODAY)

But the sense of community he felt at the late-night show was much like Barry's, when he's invited to hang out at a bar with unsuspecting acting students in the premiere episode.

"That’s me, sitting with Tina (Fey) and Amy (Poehler) and Seth Meyers and Fred" Armisen, he says. "I just so badly wanted to fit in there. I thought, 'I will understand comedy better, maybe grow up a little.' There was a part of me that, you know, wasn’t as naïve as Barry, but I just watched a lot of movies and read a lot of books, and I didn’t really experience life. I was kind of someone who didn’t really go after things."

After landing the job in 2005, when Will & Grace's Megan Mullally recommended Hader to SNL producer Lorne Michaels, "I saw how relaxed they were and how hard they worked and I thought I just wanted that. Barry feels the same thing."

Hader spent eight seasons on SNL, exiting in 2013 to continue a varied movie career that included leading roles in Amy Schumer's Trainwreck and The Skeleton Twins, a dramatic turn with Kristen Wiig (they played damaged siblings). He also teamed up with Armisen and Meyers for Documentary Now, a series of pitch-perfect parodies of acclaimed docs that will return for a third season on IFC, though Hader won't be on camera.

He also returns to SNL Saturday for his first hosting stint since 2014. And his vocal talent will surface on Sunday's The Simpsons as Manacek, a 1970s detective based on George Peppard's Banacek.

Which speaks perfectly to Hader's rarefied tastes. In his SNL audition, he did impressions of James Mason and Vincent Price, actors probably unfamiliar to most of the show's audience.

"Growing up in Oklahoma, his dad just introduced him to so much in the comedy world," says Michaels. "He knew everything; the most obscure stuff. His tastes overtook his experience, and his talent was up there with his tastes. In a sense, what he brought to the show, aside from the fact that he was brilliant, was that he was going into corners alone. It takes a little longer for people to find their voice in the show."

Bill Hader as Stefon in a March 2013 episode of "Saturday Night Live," in New York. It marked Hader's final season after an eight-year run.(Photo: Dana Edelson, AP)

Hader says he "couldn't get an original character to save my life," but hit pay dirt with Stefon, the androgynous hipster he played on Weekend Update, which he's destined to revive Saturday.

"By the time he did Stefon, which was completely original, the anxiety stuff he went through wasn't showing up on air," Michaels says. Instead, writer John Mulaney would change jokes after dress rehearsal just to crack up Hader — and the audience. "He had that level of ease by the time he left the show. He'll be all right in the real world."